Sat, Dec 10, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers April 2012

Peter Urbani' Statistics
Peter Urbani's quantitative analysis of emerging managers' performance

Performance Drivers of the Opalesque Emanagers Index

This month we examine the performance drivers of the Emerging Managers Index by treating it as if it were a portfolio or fund of funds and performing an attribution analysis on the constituent sub-indices mapped to the Dow Jones Credit Suisse Hedge Fund Strategies.

The results are instructive and give a fairly clear indication as to where the excess performance of the Emanagers Index has come from.

Over the 3.25 year period since Jan 2009 the Emanagers index has delivered a +14.7% compound annual return (CAGR ) versus the +8.91% of the benchmark Dow Jones Credit Suisse Blue Chip Hedge Fund Index.

To the extent that the Index is a semi-passive portfolio whose Strategy Asset Allocation is largely determined by market forces one might expect that there would be a significant Allocation or market timing effect driving returns. However, this is not the case for the Emanagers Index and the allocation effects relative to the benchmark portfolio are in fact -1.74% p.a. This probably reflects the lagged momentum effect of new funds being launched in recently strong performing areas.

In contrast the Selection effect is +4.18% p.a. suggesting a high quality of funds coming into the index and that it is not merely dominated by past winners.

The Emanagers index has significantly higher weightings to Managed Futures ( 30.4% v.s. 16.4), Equity L/S ( 33.9% v.s. 15.9%) and significantly lower weightings in Event Driven ( 3.5% v.s. 21.4%) and Emerging Markets ( 0% ) and Convertible Arbitrage.

 

Emerging Manager Strategy weights versus Benchmark

Emer......................

To view our full article please login

This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
New Managers
New Managers
New Managers

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Institutions - Texas County & District culls 5 hedge funds, reallocates to existing managers, Kentucky board gives final approval to halve hedge fund portfolio, $38bn Finnish fund moves assets to U.S. as Europe flounders, South Korea’s National Pension Fund holds 5% stake in 62 listed companies[more]

    Texas County & District culls 5 hedge funds, reallocates to existing managers Texas County & District Retirement System, Austin, continues to reduce the number of hedge funds, but not the size of its $6.2 billion hedge fund portfolio. It will redeem a total of $760 million from five hedg

  2. Opalesque Roundtable: Australian family offices search for good risk adjusted returns, happy to pay for skill[more]

    Komfie Manalo, Opalesque Asia: Australian family offices want foremost good risk adjusted returns, and they are happy to pay for the skill, and in some cases, the limited capacity of an active manager. Jonas Daly, Head of Distribution at B

  3. StepStone announces close of Swiss Capital acquisition[more]

    StepStone Group LP announced it has successfully closed the acquisition of Swiss Capital Alternative Investments AG, one of the leading private debt and hedge fund solutions providers in Europe. The transaction was originally announced in May 2016, and has been in the process of receiving regulatory

  4. Investing - Stephen Cohen investing $275m in free clinics treating veterans' mental health issues, California Resources loses favor with hedge funds[more]

    Stephen Cohen investing $275m in free clinics treating veterans' mental health issues From Healthcarefinancenews.com: …Now, a new chain of free mental health clinics for vets has opened in five cities across the United States to fill the gap. The much-needed new treatment is underwritten

  5. Hedge funds flat in last week of November 'in sympathy with markets’[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were close to flat in the last week of November in sympathy with markets, which took a pause ahead of the OPEC meeting and Italian referendum. The Lyxor Hedge Fund Index was -0.1% as of end November 29 (-1.7% YTD), according to the latest